Luc Bauwens : Citation Profile


Are you Luc Bauwens?

Université Catholique de Louvain

24

H index

44

i10 index

2462

Citations

RESEARCH PRODUCTION:

52

Articles

169

Papers

1

Books

1

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   35 years (1983 - 2018). See details.
   Cites by year: 70
   Journals where Luc Bauwens has often published
   Relations with other researchers
   Recent citing documents: 300.    Total self citations: 60 (2.38 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pba4
   Updated: 2019-08-24    RAS profile: 2019-06-08    
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Relations with other researchers


Works with:

Storti, Giuseppe (7)

Dufays, Arnaud (7)

Otranto, Edoardo (5)

Korobilis, Dimitris (3)

Koop, Gary (3)

Carpantier, Jean-François (3)

Braione, Manuela (3)

Yang, Yukai (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Luc Bauwens.

Is cited by:

McAleer, Michael (78)

Caporin, Massimiliano (48)

Rombouts, Jeroen (36)

Maheu, John (34)

Asai, Manabu (30)

Hafner, Christian (27)

Stentoft, Lars (26)

Hautsch, Nikolaus (24)

van Dijk, Herman (21)

Lucas, Andre (21)

Francq, Christian (20)

Cites to:

Engle, Robert (77)

Bollerslev, Tim (39)

Rombouts, Jeroen (31)

Shephard, Neil (25)

van Dijk, Herman (21)

Jasiak, Joann (20)

Andersen, Torben (19)

Diebold, Francis (17)

Teräsvirta, Timo (17)

Laurent, Sébastien (17)

Hafner, Christian (14)

Main data


Where Luc Bauwens has published?


Journals with more than one article published# docs
Journal of Econometrics10
Computational Statistics & Data Analysis5
Econometrics Journal3
Empirical Economics3
Journal of Applied Econometrics3
Annals of Economics and Statistics3
Journal of Business & Economic Statistics2
Journal of Business & Economic Statistics2
Journal of Empirical Finance2
Econometric Reviews2
Journal of Applied Econometrics2
European Economic Review2
International Journal of Forecasting2

Working Papers Series with more than one paper published# docs
Discussion Papers (ECON - Dpartement des Sciences Economiques) / Universit catholique de Louvain, Dpartement des Sciences Economiques11
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute5
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles5
Discussion Papers (REL - Recherches Economiques de Louvain) / Universit catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)3
Computing in Economics and Finance 2002 / Society for Computational Economics3
Working Paper series / Rimini Centre for Economic Analysis2
Tinbergen Institute Discussion Papers / Tinbergen Institute2
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany2
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía2

Recent works citing Luc Bauwens (2018 and 2017)


YearTitle of citing document
2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-28.

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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2018State-dependent Hawkes processes and their application to limit order book modelling. (2018). Pakkanen, Mikko ; Morariu-Patrichi, Maxime . In: CREATES Research Papers. RePEc:aah:create:2018-26.

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2017MIDAS models in banking sector – systemic risk comparison. (2017). Mestel, Roland ; Gurgul, Henryk ; Syrek, Robert. In: Managerial Economics. RePEc:agh:journl:v:18:y:2017:i:2:p:165-181.

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2017Asymmetric Price Volatility Interaction between U.S. Food and Energy Markets. (2017). Saghaian, Sayed H ; Chen, BO ; Walters, Cory G ; Nemati, Mehdi . In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258240.

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2017New Zealand’s Trade Prospects in an Uncertain Trans-Pacific Partnership (TPP) Environment: Results from Gravity Model. (2017). Tsang, Cheuk Yan ; Shakur, Shamim. In: 2017 Conference, October 19-20, Rotorua, New Zealand. RePEc:ags:nzar17:269528.

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2017Dynamic Quantile Function Models. (2017). Ye, Wilson ; Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W. In: Papers. RePEc:arx:papers:1707.02587.

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2017Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587.

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2018A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering. (2018). Verma, Anshul ; di Matteo, Tiziana ; Buonocore, Riccardo Junior . In: Papers. RePEc:arx:papers:1712.02138.

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2018New HSIC-based tests for independence between two stationary multivariate time series. (2018). Zhu, Ke ; Li, Wai Keung ; Wang, Guochang. In: Papers. RePEc:arx:papers:1804.09866.

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2018When panic makes you blind: a chaotic route to systemic risk. (2018). Mazzarisi, Piero ; Marmi, Stefano ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:1805.00785.

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2018Analytic Moments for GARCH Processes. (2018). Alexander, Carol ; Stanescu, Silvia ; Lazar, Emese. In: Papers. RePEc:arx:papers:1808.09666.

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2018State-dependent Hawkes processes and their application to limit order book modelling. (2018). Morariu-Patrichi, Maxime ; Pakkanen, Mikko S. In: Papers. RePEc:arx:papers:1809.08060.

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2019Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045.

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2018General Compound Hawkes Processes in Limit Order Books. (2018). Swishchuk, Anatoliy ; Huffman, Aiden. In: Papers. RePEc:arx:papers:1812.02298.

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2018Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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2019Multivariate Fractional Components Analysis. (2018). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149.

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2019A changepoint approach for the identification of financial extreme regimes. (2019). Leonelli, Manuele ; Lattanzi, Chiara. In: Papers. RePEc:arx:papers:1902.09205.

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2017On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin . In: Working Papers. RePEc:awi:wpaper:0636.

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2018COMPETITIVENESS OF UKRAINIAN EXPORT-ORIENTED FIELDS. (2018). Toryanyk, Volodymyr ; Namliyev, Yevhen ; Dzhyndzhoian, Vladimir. In: Baltic Journal of Economic Studies. RePEc:bal:journl:2256-0742:2018:4:3:46.

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2017The Effect of Central Bank Transparency on Exchange Rate Volatility. (2017). Weber, Christoph S. In: Working Papers. RePEc:bav:wpaper:174_weber.

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2017Detecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals. (2017). Sadaba, Barbara ; Pozzi, Lorenzo. In: Staff Working Papers. RePEc:bca:bocawp:17-22.

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2018State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models. (2018). Uzeda, Luis. In: Staff Working Papers. RePEc:bca:bocawp:18-14.

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2018Asset price volatility in EU-6 economies: how large is the role played by the ECB?. (2018). Colabella, Andrea ; Ciarlone, Alessio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1175_18.

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2017The beneficial aspect of FX volatility for market liquidity. (2017). SHIM, ILHYOCK ; Koosakul, Jakree . In: BIS Working Papers. RePEc:bis:biswps:629.

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2017Accounting Research: A Bibliometric Analysis. (2017). Merigo, Jose M ; Yang, Jian-Bo. In: Australian Accounting Review. RePEc:bla:ausact:v:27:y:2017:i:1:p:71-100.

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2017Diversification into Emerging Markets – An Australian and the US Perspective Using a Time-varying Approach. (2017). Gupta, Rakesh ; Jithendranathan, Thadavillil ; Yang, Junhao . In: Australian Economic Papers. RePEc:bla:ausecp:v:56:y:2017:i:2:p:134-162.

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2018TRADER TYPE EFFECTS ON THE VOLATILITY‐VOLUME RELATIONSHIP EVIDENCE FROM THE KOSPI 200 INDEX FUTURES MARKET. (2018). Kartsaklas, Aris. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:3:p:226-250.

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2017ARE MIGRANTS MORE PRODUCTIVE THAN STAYERS? SOME EVIDENCE FROM A SET OF HIGHLY PRODUCTIVE ACADEMIC ECONOMISTS. (2017). Ruiz-Castillo, Javier ; carrasco, raquel ; Albarran, Pedro. In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:3:p:1308-1323.

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2017Economists, Research Performance and National Inbreeding: North Versus South. (2017). Panagiotidis, Theodore ; Zontanos, Costas ; Katranidis, Stelios . In: Economic Notes. RePEc:bla:ecnote:v:46:y:2017:i:1:p:145-163.

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2017Converging in divergent ways. (2017). Dautovic, Ernest ; Schudel, Willem ; Orszaghova, Lucia. In: The Economics of Transition. RePEc:bla:etrans:v:25:y:2017:i:4:p:625-662.

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2018Experience and Brokerage in Asset Markets: Evidence from Art Auctions. (2018). Bruno, Brunella ; Nocera, Giacomo ; Garciaappendini, Emilia. In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:4:p:833-864.

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2017A network analysis of the volatility of high dimensional financial series. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:66:y:2017:i:3:p:581-605.

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2017Functional Generalized Autoregressive Conditional Heteroskedasticity. (2017). Horvath, Lajos ; Pellatt, Daniel F ; Aue, Alexander. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:1:p:3-21.

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2017How Has the Behavior of Cross-Market Correlations Altered During Financial and Debt Crises?. (2017). demiralay, sercan ; Ulusoy, Veysel. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:6:p:765-794.

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2017Examining the Performance of the South African Economics Departments, 2005-2014. (2017). Yu, Derek ; Moses, Mariana ; Kasongo, Atoko. In: South African Journal of Economics. RePEc:bla:sajeco:v:85:y:2017:i:1:p:138-158.

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2017Impact of Macroeconomic Announcements on Foreign Exchange Volatility: Evidence from South Africa. (2017). ALAGIDEDE, PAUL ; Maserumule, Tseke. In: South African Journal of Economics. RePEc:bla:sajeco:v:85:y:2017:i:3:p:405-429.

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2017Pre-sale information and hammer prices for Australian Indigenous art. (2017). Fry, Tim ; Farrell, Lisa. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:64:y:2017:i:5:p:483-500.

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2017Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach. (2017). Balaa, Dahiru A ; Takimotob, Taro . In: Borsa Istanbul Review. RePEc:bor:bistre:v:17:y:2017:i:1:p:25-48.

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2017Nonstationary autoregressive conditional duration models. (2017). Anuj, Mishra ; Variyam, Ramanathan Thekke. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:4:p:22:n:2.

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2018Illiquidity and Volatility Spillover effects in Equity Markets during and after the Global Financial Crisis: an MEM approach. (2018). Xu, Yongdeng ; Taylor, Nick ; Lu, Wenna. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2018/6.

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2018Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models. (2018). Caporale, Guglielmo Maria ; Zekokh, Timur. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7167.

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2018Superstar Economists: Coauthorship Networks and Research Output. (2018). Zimmermann, Christian ; Liu, Xiaodong ; Konig, Michael D ; Hsieh, Chih-Sheng. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7309.

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2018Volatility, Diversification and Contagion. (2018). Sentana, Enrique. In: Working Papers. RePEc:cmf:wpaper:wp2018_1803.

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2018Volatility, diversification and contagion. (2018). Sentana, Enrique. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12824.

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2018Superstar Economists: Coauthorship networks and research output. (2018). Zimmermann, Christian ; Liu, Xiaodong ; Konig, Michael ; Hsieh, Chih-Sheng. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13239.

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2017Bayesian semiparametric multivariate stochastic volatility with an application to international stock-market co-movements. (2017). Wilfling, Bernd ; Trede, Mark ; Zaharieva, Martina Danielova . In: CQE Working Papers. RePEc:cqe:wpaper:6217.

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2018Spatial Mobility in Elite Academic Institutions in Economics : the Case of Spain. (2018). Ruiz-Castillo, Javier ; carrasco, raquel ; Perea, Raquel Carrasco ; Ucelay, Javier Ruiz-Castillo. In: UC3M Working papers. Economics. RePEc:cte:werepe:26093.

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2017Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis. (2017). Schlaak, Thore ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1672.

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2017Improving Estimation of Labor Market Disequilibrium through Inclusion of Shortage Indicators. (). Baird, Matthew ; Kumar, Krishna ; Daugherty, Lindsay. In: CINCH Working Paper Series. RePEc:duh:wpaper:1701.

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2017On the Co-movements among East Asian Foreign Exchange Markets: A Multivariate FIAPARCH-DCC approach. (2017). el Abed, Riadh. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00370.

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2017On log-symmetric duration models applied to high frequency financial data. (2017). Saulo, Helton ; Leo, Jeremias . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00030.

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2017Risk parity in the brazilian market. (2017). de Souza, Pierre O ; Righi, Marcelo B ; Borenstein, Denis ; Caldeira, Joo F ; Filomena, Tiago P. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00061.

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2018Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/278905.

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2019Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach. (2019). Valls Pereira, Pedro ; Hallin, Marc ; Trucios-Maza, Carlos Cesar ; Hotta, Luis K ; Zevallos, Mauricio. In: Working Papers ECARES. RePEc:eca:wpaper:2013/288066.

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2017Global Macroeconomic Announcements and Foreign Exchange Implied Volatility. (2017). Ishfaq, Muhammad ; Raza, Syed Mehmood ; Bi, Zhang. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-05-14.

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2019Volatility Spillovers among the Cryptocurrency Time Series. (2019). Mighri, Zouheir Ahmed ; al Saggaf, Majid Ibrahim ; Alsaggaf, Majid Ibrahim. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-03-7.

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2017The Interrelationship between Crude Oil Price Volatility and Money Market Rate Volatility in a Developing, Oil-Producing Economy. (2017). Kalu O., Emenike. In: Eastern European Business and Economics Journal. RePEc:eeb:articl:v:3:y:2017:n:1:p:28-47.

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2019Modelling bimodality of length of tourist stay. (2019). Perez-Rodriguez, J V ; Gomez-Deniz, E. In: Annals of Tourism Research. RePEc:eee:anture:v:75:y:2019:i:c:p:131-151.

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2018New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries. (2018). Tsuji, Chikashi. In: Applied Energy. RePEc:eee:appene:v:229:y:2018:i:c:p:1202-1217.

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2019Modeling financial durations using penalized estimating functions. (2019). Zhang, Yaohua ; Thavaneswaran, Aerambamoorthy ; Ravishanker, Nalini ; Zou, Jian. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:131:y:2019:i:c:p:145-158.

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2019When panic makes you blind: A chaotic route to systemic risk. (2019). Marmi, Stefano ; Lillo, Fabrizio ; Mazzarisi, Piero. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:176-199.

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2018Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns. (2018). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:1-29.

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2017Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market. (2017). Nonejad, Nima. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:388-408.

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2017Generalized Method of Moment estimation of multivariate multifractal models. (2017). Liu, Ruipeng ; Lux, Thomas. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:136-148.

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2017Calculating Value-at-Risk for high-dimensional time series using a nonlinear random mapping model. (2017). Zhang, Heng-Guo ; Su, Fei ; Xiao, Ran ; Qiu, Shuqi ; Song, Yan. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:355-367.

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2017Financial contagion and volatility spillover: An exploration into Indian commodity derivative market. (2017). Sinha Roy, Saikat ; Sinharoy, Saikat. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:368-380.

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2017Measuring systemic risk with regime switching in tails. (2017). Liu, Xiaochun. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:55-72.

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2018Optimal hedge ratios for clean energy equities. (2018). Ahmad, Wasim ; Sharma, Amit ; Sadorsky, Perry. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:278-295.

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2018Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses. (2018). Tsuji, Chikashi. In: Economic Modelling. RePEc:eee:ecmode:v:74:y:2018:i:c:p:167-185.

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2018High-dimensional covariance forecasting based on principal component analysis of high-frequency data. (2018). Jian, Zhi Hong ; Zhu, Zhican ; Deng, Pingjun. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:422-431.

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2019On the asymmetric impact of macro–variables on volatility. (2019). Amendola, Alessandra ; Gallo, Giampiero M ; Candila, Vincenzo. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:135-152.

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2017Do precious metal prices help in forecasting South African inflation?. (2017). Katzke, Nico ; GUPTA, RANGAN ; Balcilar, Mehmet. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:63-72.

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2017Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements. (2017). Gau, Yin-Feng ; Hsu, Chih-Chiang ; Chang, Ya-Ting. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:172-192.

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2018Which information matters to market risk spreading in Brazil? Volatility transmission modelling using MGARCH-BEKK, DCC, t-Copulas. (2018). de Oliveira, Felipe A ; Da, Cassio ; de Jesus, Diego P ; Maia, Sinezio F. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:83-100.

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2018Public information arrival, price discovery and dynamic correlations in the Chinese renminbi markets. (2018). Zhang, Zhaoyong ; Shi, Yanlin ; Ho, Kin-Yip. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:168-186.

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2018Auctions, market efficiency, and the trade in second-hand and antique silver. (2018). Draper, Paul ; Clacher, Iain ; de Ricquebourg, Alan Duboisee. In: Economics Letters. RePEc:eee:ecolet:v:162:y:2018:i:c:p:45-48.

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2018Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space. (2018). Augustyniak, Maciej ; Dufays, Arnaud. In: Economics Letters. RePEc:eee:ecolet:v:170:y:2018:i:c:p:122-126.

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2019Indirect measures of trade costs: Limitations and caveats. (2019). Gervais, Antoine. In: Economics Letters. RePEc:eee:ecolet:v:176:y:2019:i:c:p:96-102.

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2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Quaedvlieg, Rogier ; Laurent, Sébastien ; Lunde, Asger ; Boudt, Kris ; Sauri, Orimar . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:347-367.

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2017Fitting a two phase threshold multiplicative error model. (2017). Perera, Indeewara ; Koul, Hira L. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:348-367.

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2017Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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2017Generalized dynamic factor models and volatilities: estimation and forecasting. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:307-321.

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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Francq, Christian ; darolles, serge ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:223-247.

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2019Testing for structural breaks in factor copula models. (2019). Wied, Dominik ; Stark, Florian ; Manner, Hans. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:324-345.

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2019Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors. (2019). Jensen, Mark ; Fisher, Mark. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:187-202.

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2019Importance sampling from posterior distributions using copula-like approximations. (2019). Tsionas, Mike ; Dellaportas, Petros. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:45-57.

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2017Cholesky realized stochastic volatility model. (2017). Omori, Yasuhiro ; Piao, Haixiang ; Lopes, Hedibert F ; Shirota, Shinichiro . In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:34-59.

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2017Robust normal mixtures for financial portfolio allocation. (2017). Gambacciani, Marco ; Paolella, Marc S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:91-111.

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2018Volatility forecasting using global stochastic financial trends extracted from non-synchronous data. (2018). Peresetsky, Anatoly ; Ortega, Juan-Pablo ; Grigoryeva, Lyudmila. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:67-82.

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2018Copula based multivariate semi-Markov models with applications in high-frequency finance. (2018). Damico, Guglielmo ; Petroni, Filippo. In: European Journal of Operational Research. RePEc:eee:ejores:v:267:y:2018:i:2:p:765-777.

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2019Multi-objective optimization using statistical models. (2019). Tsionas, Mike. In: European Journal of Operational Research. RePEc:eee:ejores:v:276:y:2019:i:1:p:364-378.

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2017Frontier and emerging government bond markets. (2017). Swinkels, Laurens ; Piljak, Vanja. In: Emerging Markets Review. RePEc:eee:ememar:v:30:y:2017:i:c:p:232-255.

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2018A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets. (2018). Rizvi, Syed Aun R. ; Alam, Nafis ; Arshad, Shaista ; Aun, Syed . In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:143-161.

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2018Risk contribution of the Chinese stock market to developed markets in the post-crisis period. (2018). Yu, Honghai ; Du, Donglei ; Sun, Boyang ; Fang, Libing. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:87-97.

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2017Dynamic cross-autocorrelation in stock returns. (2017). Kinnunen, Jyri. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:162-173.

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More than 100 citations found, this list is not complete...

Luc Bauwens has edited the books:


YearTitleTypeCited

Works by Luc Bauwens:


YearTitleTypeCited
2011Marginal Likelihood for Markov-switching and Change-point Garch Models In: CREATES Research Papers.
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paper32
2011Marginal Likelihood for Markov-Switching and Change-Point Garch Models.(2011) In: CIRANO Working Papers.
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paper
2011Marginal likelihood for Markov-switching and change-point GARCH models.(2011) In: CORE Discussion Papers.
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paper
2014Marginal likelihood for Markov-switching and change-point GARCH models.(2014) In: Journal of Econometrics.
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article
2011Marginal Likelihood for Markov-Switching and Change-Point GARCH Models.(2011) In: Cahiers de recherche.
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paper
2018State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering In: CREATES Research Papers.
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paper0
2018State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering.(2018) In: Econometrics.
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This paper has another version. Agregated cites: 0
article
1991Bayesian Diagnostics for Heterogeneity In: Annals of Economics and Statistics.
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article1
1991Bayesian diagnostics for heterogeneity.(1991) In: CORE Discussion Papers RP.
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paper
1991The pathologie of the Natural Conjugate Prior Density in the Regression Model In: Annals of Economics and Statistics.
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article1
1991The pathology of the natural conjugate prior density in the regression model.(1991) In: CORE Discussion Papers RP.
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paper
1990THE PATHOLOGY OF THE NATURAL CONJUGATE PRIOR DENSITY IN THE REGRESSION MODEL..(1990) In: G.R.E.Q.A.M..
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paper
2000The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks In: Annals of Economics and Statistics.
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article41
2000The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks.(2000) In: CORE Discussion Papers RP.
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This paper has another version. Agregated cites: 41
paper
1989BAYESIAN LIMITED INFORMATION ANALYSIS REVISITED In: Econometric Institute Archives.
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paper0
1994Estimating End-Use Demand: A Bayesian Approach. In: Journal of Business & Economic Statistics.
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article15
1992Estimating End-Use Demand : A Bayesian Approach.(1992) In: CORE Discussion Papers.
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paper
1994Estimating End-use Demand: a Bayesian Approach.(1994) In: CORE Discussion Papers RP.
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paper
1992Estimating end-use demand: A Bayesian approach.(1992) In: UC3M Working papers. Economics.
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paper
2005A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models In: Journal of Business & Economic Statistics.
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article82
2005A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models.(2005) In: CORE Discussion Papers RP.
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paper
2009A Component GARCH Model with Time Varying Weights In: Studies in Nonlinear Dynamics & Econometrics.
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article24
2007A component GARCH model with time varying weights.(2007) In: CORE Discussion Papers.
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paper
2009A component GARCH model with time varying weights.(2009) In: CORE Discussion Papers RP.
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paper
2007A Component GARCH Model with Time Varying Weights.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2006A component GARCH model with time varying weights.(2006) In: Computing in Economics and Finance 2006.
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paper
2011The Resistible Decline of European Science In: Recherches économiques de Louvain.
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article11
2007The resistible decline of European science.(2007) In: CORE Discussion Papers.
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paper
2011The resistible decline of European Science.(2011) In: CORE Discussion Papers RP.
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paper
2008The Resistible Decline of European Science.(2008) In: CEPR Discussion Papers.
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paper
2011The Resistible Decline of European Science.(2011) In: Discussion Papers (REL - Recherches Economiques de Louvain).
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paper
2011The resistible decline of European science.(2011) In: LSE Research Online Documents on Economics.
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paper
2011A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models In: CIRANO Working Papers.
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paper42
2011A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models.(2011) In: CORE Discussion Papers.
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paper
2011A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models.(2011) In: SIRE Discussion Papers.
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paper
2011A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models.(2011) In: Cahiers de recherche.
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paper
2011The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2011) In: Working Paper series.
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paper
2011A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models.(2011) In: Working Papers.
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paper
2015The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2015) In: Journal of Applied Econometrics.
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article
2013Modeling the Dependence of Conditional Correlations on Volatility In: Working Paper CRENoS.
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paper11
2013Modeling the dependence of conditional correlations on volatility.(2013) In: CORE Discussion Papers.
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paper
2018Nonlinearities and Regimes in Conditional Correlations with Different Dynamics In: Working Paper CRENoS.
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paper0
2018Nonlinearities and regimes in conditional correlations with different dynamics.(2018) In: CORE Discussion Papers.
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paper
1987Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods. In: CORE Discussion Papers.
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paper30
1988Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods.(1988) In: CORE Discussion Papers RP.
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paper
1988Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods.(1988) In: Journal of Econometrics.
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article
1992Approximate HPD regions for testing residual autocorrelation using augmented regressions In: CORE Discussion Papers.
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paper0
1993Approximate HPD regions for testing residual autocorrelation using augmented regressions.(1993) In: CORE Discussion Papers RP.
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paper
1994Identification Restrictions and Posterior Densities in Cointegrated Gaussian VAR Systems In: CORE Discussion Papers.
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paper18
1996Identification restrictions and posterior densities in cointegrated Gaussian VAR system.(1996) In: CORE Discussion Papers RP.
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paper
1994Do Art Experts make Rational Estimates of Pre-Sale Prices ? In: CORE Discussion Papers.
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paper0
1995On the Weak Consistency of the Quasi-Maximum Likelihood Estimator in VAR Models with BEKK-GARCH(1,q) Errors In: CORE Discussion Papers.
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paper0
1996Bayesian Inference on GARCH Models using the Gibbs Sampler In: CORE Discussion Papers.
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paper82
1998Bayesian inference on GARCH models using the Gibbs sampler.(1998) In: CORE Discussion Papers RP.
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paper
1998Bayesian inference on GARCH models using the Gibbs sampler.(1998) In: Econometrics Journal.
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article
1996Bayesian Inference on GARCH Models Using the Gibbs Sampler..(1996) In: G.R.E.Q.A.M..
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paper
1997A Gibbs sampling approach to cointegration In: CORE Discussion Papers.
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paper5
1998Gibbs sampling approach to cointegration.(1998) In: CORE Discussion Papers RP.
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This paper has another version. Agregated cites: 5
paper
1997Bayesian option pricing using asymmetric GARCH In: CORE Discussion Papers.
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paper3
1997Bayesian Option Pricing Using Asymmetric GARCH.(1997) In: G.R.E.Q.A.M..
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This paper has another version. Agregated cites: 3
paper
1997Modelling interest rates with a cointegrated VAR-GARCH model In: CORE Discussion Papers.
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paper5
1997The logarithmic ACD model: an application to market microstructure and NASDAQ In: CORE Discussion Papers.
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paper1
1998Asymmetric ACD models: introducing price information in ACD models with a two state transition model In: CORE Discussion Papers.
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paper3
1999Adaptive polar sampling with an application to a Bayes measure of value-at-risk In: CORE Discussion Papers.
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paper4
1999Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk.(1999) In: Econometric Institute Research Papers.
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paper
2000ADAPTIVE POLAR SAMPLING WITH AN APPLICATION TO A BAYES MEASURE OF VALUE-AT-RISK.(2000) In: Computing in Economics and Finance 2000.
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paper
1999Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk.(1999) In: Tinbergen Institute Discussion Papers.
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paper
1999The stochastic conditional duration model: a latent factor model for the analysis of financial durations In: CORE Discussion Papers.
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paper63
2004The stochastic conditional duration model: a latent factor model for the analysis of financial durations.(2004) In: ULB Institutional Repository.
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paper
2000Identifying long-run behaviour with non-stationary data. In: CORE Discussion Papers.
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paper0
2000A comparison of financial duration models via density forecasts In: CORE Discussion Papers.
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paper94
2004A comparison of financial duration models via density forecasts.(2004) In: CORE Discussion Papers RP.
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paper
2000A Comparison of Financial Duration Models via Density Forecasts.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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paper
2004A comparison of financial duration models via density forecasts.(2004) In: International Journal of Forecasting.
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article
2004A comparison of financial duration models via density forecast.(2004) In: ULB Institutional Repository.
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This paper has another version. Agregated cites: 94
paper
2002A new class of multivariate skew densities, with application to GARCH models In: CORE Discussion Papers.
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paper34
2002A New Class of Multivariate skew Densities, with Application to GARCH Models.(2002) In: Computing in Economics and Finance 2002.
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This paper has another version. Agregated cites: 34
paper
2003The moments of Log-ACD models In: CORE Discussion Papers.
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paper17
2009The moments of Log-ACD models.(2009) In: CORE Discussion Papers RP.
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paper
2003News announcements, market activity and volatility in the Euro/Dollar foreign exchange market In: CORE Discussion Papers.
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paper88
2005News announcements, market activity and volatility in the euro/dollar foreign exchange market.(2005) In: CORE Discussion Papers RP.
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paper
2005News announcements, market activity and volatility in the euro/dollar foreign exchange market.(2005) In: Journal of International Money and Finance.
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article
2003Multivariate GARCH models: a survey In: CORE Discussion Papers.
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paper759
2006Multivariate GARCH models: a survey.(2006) In: CORE Discussion Papers RP.
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paper
2006Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 759
article
2003Ranking economics departments in Europe: a statistical approach In: CORE Discussion Papers.
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paper100
2003Ranking economics departments in Europe: a statistical approach.(2003) In: CORE Discussion Papers RP.
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paper
2003Ranking Economics Departments in Europe: A Statistical Approach.(2003) In: Journal of the European Economic Association.
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article
2003Bayesian clustering of many GARCH models In: CORE Discussion Papers.
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paper17
2007Bayesian clustering of many GARCH models.(2007) In: CORE Discussion Papers RP.
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paper
2007Bayesian Clustering of Many Garch Models.(2007) In: Econometric Reviews.
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article
2003Dynamic latent factor models for intensity processes In: CORE Discussion Papers.
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2005Exchange rate volatility and the mixture of distribution hypothesis In: CORE Discussion Papers.
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paper21
2006Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: CORE Discussion Papers RP.
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2005Exchange Rate Volatility and the Mixture of Distribution Hypothesis.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2006Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: Empirical Economics.
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article
2005Bayesian inference for the mixed conditional heteroskedasticity model In: CORE Discussion Papers.
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paper11
2007Bayesian inference for the mixed conditional heteroskedasticity model.(2007) In: CORE Discussion Papers RP.
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paper
2005Bayesian inference for the mixed conditional heteroskedasticity model.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2007Bayesian inference for the mixed conditional heteroskedasticity model.(2007) In: Econometrics Journal.
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article
2006Bayesian inference for the mixed conditional heteroskedasticity model.(2006) In: Cahiers de recherche.
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paper
2006Intra-daily FX optimal portfolio allocation In: CORE Discussion Papers.
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paper2
2006Intra-Daily FX Optimal Portfolio Allocation.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2006Regime switching GARCH models In: CORE Discussion Papers.
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paper13
2006Regime switching GARCH models.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2006Regime switching GARCH models.(2006) In: Cahiers de recherche.
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paper
2006Multivariate mixed normal conditional heteroskedasticity In: CORE Discussion Papers.
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paper31
2007Multivariate mixed normal conditional heteroskedasticity.(2007) In: CORE Discussion Papers RP.
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paper
2006Multivariate mixed normal conditional heteroskedasticity.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2007Multivariate mixed normal conditional heteroskedasticity.(2007) In: Computational Statistics & Data Analysis.
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article
2006General to specific modelling of exchange rate volatility: a forecast evaluation In: CORE Discussion Papers.
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paper16
2010General-to-specific modelling of exchange rate volatility: a forecast evaluation.(2010) In: CORE Discussion Papers RP.
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paper
2008General to specific modelling of exchange rate volatility : a forecast evaluation.(2008) In: UC3M Working papers. Economics.
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paper
2006General to Specific Modelling of Exchange Rate Volatility : a Forecast Evaluation.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2010General-to-specific modelling of exchange rate volatility: A forecast evaluation.(2010) In: International Journal of Forecasting.
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article
2006Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market In: CORE Discussion Papers.
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paper9
2007Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market.(2007) In: Econometric Reviews.
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2006Bayesian Inference in Dynamic Disequilibrium Models : an Application to the Polish Credit Market.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2007Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market.(2007) In: CORE Discussion Papers RP.
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paper
2006Modelling financial high frequency data using point processes In: CORE Discussion Papers.
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paper23
2009Modelling financial high frequency data using point processes.(2009) In: CORE Discussion Papers RP.
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paper
2006Modelling Financial High Frequency Data Using Point Processes.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2007Modelling Financial High Frequency Data Using Point Processes.(2007) In: SFB 649 Discussion Papers.
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paper
2007Efficient importance sampling for ML estimation of SCD models In: CORE Discussion Papers.
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paper18
2009Efficient importance sampling for ML estimation of SCD models.(2009) In: CORE Discussion Papers RP.
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paper
2007Efficient importance sampling for ML estimation of SCD models.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2009Efficient importance sampling for ML estimation of SCD models.(2009) In: Computational Statistics & Data Analysis.
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article
2007Theory and inference for a Markov switching GARCH model In: CORE Discussion Papers.
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paper45
2010Theory and inference for a Markov switching Garch model.(2010) In: CORE Discussion Papers RP.
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paper
2007Theory and inference for a Markov switching GARCH model.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2010Theory and inference for a Markov switching GARCH model.(2010) In: Econometrics Journal.
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article
2007Theory and inference for a Markov switching Garch model..(2007) In: Cahiers de recherche.
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paper
2007Theory and Inference for a Markov-Switching GARCH Model.(2007) In: Cahiers de recherche.
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paper
2009On marginal likelihood computation in change-point models In: CORE Discussion Papers.
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paper6
2012On marginal likelihood computation in change-point models.(2012) In: CORE Discussion Papers RP.
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paper
2012On marginal likelihood computation in change-point models.(2012) In: Computational Statistics & Data Analysis.
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article
2009On Marginal Likelihood Computation in Change-point Models.(2009) In: Cahiers de recherche.
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paper
2011Multivariate volatility modeling of electricity futures In: CORE Discussion Papers.
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paper36
2011Multivariate Volatility Modeling of Electricity Futures.(2011) In: SFB 649 Discussion Papers.
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2013MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES.(2013) In: Journal of Applied Econometrics.
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2011Estimating and forecasting structural breaks in financial time series In: CORE Discussion Papers.
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2011Volatility models In: CORE Discussion Papers.
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2011Bayesian methods In: CORE Discussion Papers.
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2013Bayesian methods.(2013) In: Chapters.
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2012Computationally efficient inference procedures for vast dimensional realized covariance models In: CORE Discussion Papers.
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paper1
2013Computationally efficient inference procedures for vast dimensional realized covariance models.(2013) In: CORE Discussion Papers RP.
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2012Forecasting long memory processes subject to structural breaks In: CORE Discussion Papers.
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2012Dynamic conditional correlation models for realized covariance matrices In: CORE Discussion Papers.
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2014Estimation and empirical performance of non-scalar dynamic conditional correlation models In: CORE Discussion Papers.
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paper3
2016Estimation and empirical performance of non-scalar dynamic conditional correlation models.(2016) In: Computational Statistics & Data Analysis.
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2014Forecasting comparison of long term component dynamic models for realized covariance matrices In: CORE Discussion Papers.
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paper9
2016Forecasting comparison of long term component dynamic models for realized covariance matrices.(2016) In: CORE Discussion Papers RP.
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2015Autoregressive moving average infinite hidden markov-switching models In: CORE Discussion Papers.
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paper10
2017Autoregressive moving average infinite hidden Markov-switching models.(2017) In: CORE Discussion Papers RP.
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2017Autoregressive Moving Average Infinite Hidden Markov-Switching Models.(2017) In: Post-Print.
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2017Autoregressive Moving Average Infinite Hidden Markov-Switching Models.(2017) In: Journal of Business & Economic Statistics.
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2016A dynamic component model for forecasting high-dimensional realized covariance matrices In: CORE Discussion Papers.
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